Here's the math, the way I see it: Loki wound up on Thanos' throne. Thanos tells him to go get the Tesseract, which SHIELD has in their Dark Matter lab.

This is the same Tesseract that Howard Stark recovered from the ocean floor. The same Tesseract that burned a hole through Johann Schmidt, and the bomber, in 1945.

Loki *enters* this world through the Tesseract in the JDM Lab. Ergo: he came from "the other side."

Ergo: "the other side" is Thanos' throne.

Ergo:

....yup. Skully is currently at Thanos' throne.

Chew on THAT awhile.

Need to watch it again, but couldn't Loki been teleported somewhere else? I remember Hiddleston saying he will meet gansters of the 9 realms. Couldn't he have gone somewhere else and found his way to Thanos throne?